this is my method. i'm sure other good suggestions will follow. we are a very imaginative bunch around here. :P
first, make sure you don't stitch in place to form a final knot on the front. just stop stitching.
then, tug gently on the back thread, it will pull the last loop of the top thread through. then you can finish pulling it all the way through to the back using the tip of your seam ripper or a straight pin.
i tie tight little knots, then thread both through a needle to bury them in the batting. takes a bit more time but looks so much nicer than anything else i've tried.